Zhang, Liangquan Stochastic recursive optimal control of McKean-Vlasov type: a viscosity solution approach. (English) Zbl 07923494 J. Differ. Equations 409, 334-394 (2024). MSC: 93E20 60H15 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bayraktar, Erhan; Yao, Song Stochastic control/stopping problem with expectation constraints. (English) Zbl 07923197 Stochastic Processes Appl. 176, Article ID 104430, 37 p. (2024). MSC: 93E20 60G40 49L20 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Tochilin, P. A.; Chistyakov, I. A. On piecewise cubic estimates of the value function in a target control problem for a nonlinear system. (English. Russian original) Zbl 07915885 Differ. Equ. 60, No. 5, 642-654 (2024); translation from Differ. Uravn. 60, No. 5, 672-685 (2024). MSC: 93-XX 49-XX × Cite Format Result Cite Review PDF Full Text: DOI
Guo, Li; Wu, Zhen Two-player zero-sum stochastic differential games with regime switching and corresponding Hamilton-Jacobi-Bellman-Isaacs’ equations. (English) Zbl 07908359 Commun. Pure Appl. Anal. 23, No. 8, 1140-1166 (2024). MSC: 91A15 90C39 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Grigorova, Miryana; Quenez, Marie-Claire; Yuan, Peng Optimal stopping: Bermudan strategies meet non-linear evaluations. (English) Zbl 07904064 Electron. J. Probab. 29, Paper No. 102, 29 p. (2024). MSC: 60G40 90C39 60G48 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link OA License
Stannat, Wilhelm; Wessels, Lukas Necessary and sufficient conditions for optimal control of semilinear stochastic partial differential equations. (English) Zbl 07900409 Ann. Appl. Probab. 34, No. 3, 3251-3287 (2024). MSC: 93E20 60H15 49L20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Yuan, Yu; Wang, Kexin; Zhang, Caibin Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle. (English) Zbl 1537.91274 Ann. Oper. Res. 335, No. 1, 441-467 (2024). MSC: 91G05 91A15 91A80 49L20 × Cite Format Result Cite Review PDF Full Text: DOI
Bayraktar, Erhan; Yao, Song Optimal stopping with expectation constraints. (English) Zbl 1534.60051 Ann. Appl. Probab. 34, No. 1B, 917-959 (2024). MSC: 60G40 49L20 93E20 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kumakshev, S. A.; Shmatkov, A. M. Constraints in the problem of finding optimal trajectories for a supersonic non-maneuverable aircraft. (English. Russian original) Zbl 07853930 Mech. Solids 58, No. 7, 2586-2594 (2023); translation from Prikl. Mat. Mekh. 87, No. 4, 631-641 (2023). MSC: 70Q05 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Mengyuan; Zhou, Qing; Lei, Ziqi Dynamic model of family business based on \(q\)-theory. (Chinese. English summary) Zbl 07801522 Acta Math. Appl. Sin. 46, No. 3, 329-347 (2023). MSC: 62C86 91G10 × Cite Format Result Cite Review PDF Full Text: Link
Hun, O.; Kim, Mun-Chol; Kim, Kon-Gun Dynamic programming approach to reflected backward stochastic differential equations. (English) Zbl 07790277 Electron. J. Probab. 28, Paper No. 114, 20 p. (2023). MSC: 60H10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Gomoyunov, M. I. On the relationship between the Pontryagin maximum principle and the Hamilton-Jacobi-Bellman equation in optimal control problems for fractional-order systems. (English. Russian original) Zbl 1531.49023 Differ. Equ. 59, No. 11, 1520-1526 (2023); translation from Differ. Uravn. 59, No. 11, 1515-1521 (2023). Reviewer: Hector O. Fattorini (Los Angeles) MSC: 49K15 49L12 49L20 35F21 49-02 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Blanc, Pablo; Han, Jeongmin; Parviainen, Mikko; Ruosteenoja, Eero Game-theoretic approach to Hölder regularity for PDEs involving eigenvalues of the Hessian. (English) Zbl 1530.91011 Potential Anal. 59, No. 4, 1995-2015 (2023). MSC: 91A05 91A10 35D40 49L20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
El Asri, Brahim; Lalioui, Hafid; Mazid, Sehail A zero-sum deterministic impulse controls game in infinite horizon with a new HJBI-QVI. (English) Zbl 1522.91022 Appl. Math. Optim. 88, No. 3, Paper No. 71, 31 p. (2023). MSC: 91A10 91A05 91A23 49N25 49N70 49L20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fjellström, Carmina Selected topics in mathematical modelling: machine learning and tugs-of-war. (English) Zbl 1515.68014 Uppsala Dissertations in Mathematics 127. Uppsala: Uppsala Univ., Department of Mathematics (Diss.) (ISBN 978-91-506-2998-9). 41 p., open access (2023). MSC: 68-02 35-02 91-02 35K65 35R11 35Q91 68T05 68T07 91A15 91B84 91G10 × Cite Format Result Cite Review PDF Full Text: Link
Chen, Xin; Zhu, Yuanguo; Li, Bo Optimal control for uncertain random continuous-time systems. (English) Zbl 1521.49021 Optimization 72, No. 6, 1385-1428 (2023). Reviewer: Alain Brillard (Riedisheim) MSC: 49K45 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
De Angelis, Tiziano; Milazzo, Alessandro Dynamic programming principle for classical and singular stochastic control with discretionary stopping. (English) Zbl 1512.49029 Appl. Math. Optim. 88, No. 1, Paper No. 7, 48 p. (2023). MSC: 49L20 49L25 49K45 60G07 60G40 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Arroyo, Ángel; Blanc, Pablo; Parviainen, Mikko Hölder regularity for stochastic processes with bounded and measurable increments. (English) Zbl 1510.35087 Ann. Inst. Henri Poincaré, Anal. Non Linéaire 40, No. 1, 215-258 (2023). MSC: 35B65 35J15 60H30 60J10 91A50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fjellström, Carmina; Nyström, Kaj; Vestberg, Matias Tug-of-war with Kolmogorov. (English) Zbl 1501.35251 J. Differ. Equations 342, 501-558 (2023). MSC: 35K65 35B05 35K51 35K70 35K92 35H20 35R03 35Q91 91A80 91A05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Arroyo, Ángel Asymptotic regularity for a random walk over ellipsoids. (English) Zbl 1541.35107 Cerejeiras, Paula (ed.) et al., Current trends in analysis, its applications and computation. Proceedings of the 12th ISAAC congress, Aveiro, Portugal, July 29 – August 3, 2019. Cham: Birkhäuser. Trends Math., 403-411 (2022). MSC: 35B65 35J15 60H30 60J10 91A50 × Cite Format Result Cite Review PDF Full Text: DOI
Yong, Jiongmin Stochastic optimal control – a concise introduction. (English) Zbl 1508.93334 Math. Control Relat. Fields 12, No. 4, 1039-1136 (2022). MSC: 93E20 49L20 49L25 49N10 35D40 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Arroyo, Ángel; Blanc, Pablo; Parviainen, Mikko Local regularity estimates for general discrete dynamic programming equations. (English. French summary) Zbl 1500.35064 J. Math. Pures Appl. (9) 167, 225-256 (2022). MSC: 35B45 35B65 35J15 35J92 91A50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Wang, Hao; Cheng, Xiaoqiang; Gong, Xiaojie Optimal dividend and capital injection problem with random delay. (Chinese. English summary) Zbl 1513.62224 Chin. J. Appl. Probab. Stat. 38, No. 2, 267-284 (2022). MSC: 62P05 × Cite Format Result Cite Review PDF Full Text: Link
Källblad, Sigrid A dynamic programming approach to distribution-constrained optimal stopping. (English) Zbl 1503.60050 Ann. Appl. Probab. 32, No. 3, 1902-1928 (2022). MSC: 60G40 49L20 58E25 60G57 62L15 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Bosov, A. V. Stabilization and tracking of the trajectory of a linear system with jump drift. (English. Russian original) Zbl 1496.93123 Autom. Remote Control 83, No. 4, 520-535 (2022); translation from Avtom. Telemekh. 2022, No. 4, 27-46 (2022). MSC: 93E15 93C15 93C05 × Cite Format Result Cite Review PDF Full Text: DOI
Jin, Zhuo; Tran, Ky; Yin, George Numerical solutions of stochastic control problems: Markov chain approximation methods. (English) Zbl 1501.60040 Trélat, Emmanuel (ed.) et al., Numerical control. Part A. Amsterdam: Elsevier/North Holland. Handb. Numer. Anal. 23, 233-264 (2022). Reviewer: Alex V. Kolnogorov (Novgorod) MSC: 60J20 60J27 65C99 65K15 49K45 93E20 35F21 90C39 49L20 × Cite Format Result Cite Review PDF Full Text: Link
Zhang, Liangquan A BSDE approach to stochastic differential games involving impulse controls and HJBI equation. (English) Zbl 1495.91013 J. Syst. Sci. Complex. 35, No. 3, 766-801 (2022). MSC: 91A15 93A10 60H10 93C27 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Carassus, Laurence; Obłój, Jan; Wiesel, Johannes Erratum to: “The robust superreplication problem: a dynamic approach”. (English) Zbl 1497.91305 SIAM J. Financ. Math. 13, No. 2, 653-655 (2022). MSC: 91G20 91G15 62P05 60B05 × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Mingshang; Ji, Shaolin; Li, Xiaojuan Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation. (English) Zbl 1492.93199 ESAIM, Control Optim. Calc. Var. 28, Paper No. 25, 21 p. (2022). MSC: 93E20 49L12 49L20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Frankowska, Hélène; Sagara, Nobusumi Value functions and optimality conditions for nonconvex variational problems with an infinite horizon in Banach spaces. (English) Zbl 1492.49006 Math. Oper. Res. 47, No. 1, 320-340 (2022). MSC: 49J27 34A60 49J50 49J52 49J53 49K15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Djete, Mao Fabrice; Possamaï, Dylan; Tan, Xiaolu McKean-Vlasov optimal control: the dynamic programming principle. (English) Zbl 1491.49018 Ann. Probab. 50, No. 2, 791-833 (2022). Reviewer: Svetlana A. Kravchenko (Minsk) MSC: 49L20 93E20 60K35 60H30 90C39 49J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
del Teso, Félix; Lindgren, Erik A finite difference method for the variational \(p\)-Laplacian. (English) Zbl 1486.65224 J. Sci. Comput. 90, No. 1, Paper No. 67, 31 p. (2022). Reviewer: Ljiljana Teofanov (Novi Sad) MSC: 65N06 65H10 35J60 35J70 35J75 35J92 35D40 35B05 35C20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Han, Jeongmin Time-dependent tug-of-war games and normalized parabolic \(p\)-Laplace equations. (English) Zbl 1477.35277 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 214, Article ID 112542, 23 p. (2022). MSC: 35Q91 35K92 35K20 35B40 35B65 35A01 35A02 91A15 35D40 49L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hao, Tao; Zhu, Qingfeng General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations. (English) Zbl 1483.60081 Stoch. Dyn. 21, No. 6, Article ID 2150032, 28 p. (2021). MSC: 60H10 60H30 35K65 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Biswas, Subhojit; Ghosh, Mrinal K.; Mukherjee, Diganta Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle. (English) Zbl 1482.90234 Stochastic Anal. Appl. 39, No. 6, 1025-1049 (2021). MSC: 90C39 91G10 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen; Yuan, Yu Minimizing the probability of absolute ruin under ambiguity aversion. (English) Zbl 1476.62223 Appl. Math. Optim. 84, No. 3, 2495-2525 (2021). MSC: 62P05 62G35 60J70 90C39 91B05 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Mei, Hongwei Time-inconsistent risk-sensitive equilibrium for countable-stated Markov decision processes. (English) Zbl 1478.49023 Appl. Math. Optim. 84, No. 2, 1641-1666 (2021). Reviewer: Alex V. Kolnogorov (Novgorod) MSC: 49L20 60J10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Liu, Lei; Zhang, Haitao; Fan, Tiebin; Dong, Jianwei Research of an improved gray wolf optimization algorithm and application. (Chinese. English summary) Zbl 1488.68077 Math. Pract. Theory 51, No. 6, 236-245 (2021). MSC: 68T20 90C59 × Cite Format Result Cite Review PDF
Li, Juan; Li, Wenqiang; Wei, Qingmeng Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations. (English) Zbl 1467.91009 ESAIM, Control Optim. Calc. Var. 27, Suppl., Paper No. S17, 36 p. (2021). MSC: 91A15 49L12 49N70 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Liangquan Singular optimal controls for stochastic recursive systems under convex control constraint. (English) Zbl 1458.93269 J. Math. Anal. Appl. 497, No. 2, Article ID 124905, 44 p. (2021). MSC: 93E20 90C39 60H07 60H10 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ma, Zhongjing; Zou, Suli Optimal control theory. The variational method. (English) Zbl 1469.49001 Singapore: Springer (ISBN 978-981-33-6291-8/hbk; 978-981-33-6294-9/pbk; 978-981-33-6292-5/ebook). xix, 344 p. (2021). Reviewer: Morteza Pakdaman (Mashhad) MSC: 49-02 49K15 49J40 49N10 49N70 91A23 49-01 49S05 49L20 91A10 91A05 × Cite Format Result Cite Review PDF Full Text: DOI
Pozza, Marco Representation formula for viscosity solution to a PDE problem involving Pucci’s extremal operator. (English) Zbl 1454.35049 Nonlinear Anal., Real World Appl. 57, Article ID 103199, 13 p. (2021). MSC: 35D40 35C15 35J25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ly, Sidy; Seck, Diaraf Stochastic optimization in population dynamics: the case of multi-site fisheries. (English) Zbl 1460.92174 Seck, Diaraf (ed.) et al., Nonlinear analysis, geometry and applications. Proceedings of the first biennial international research symposium, NLAGA-BIRS, Dakar, Senegal, June 24–28, 2019. Cham: Birkhäuser. Trends Math., 119-145 (2020). Reviewer: Fatima T. Adylova (Tashkent) MSC: 92D25 93E20 90C39 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Arroyo, Ángel; Parviainen, Mikko Asymptotic Hölder regularity for the ellipsoid process. (English) Zbl 1459.35061 ESAIM, Control Optim. Calc. Var. 26, Paper No. 112, 31 p. (2020). MSC: 35B65 35J15 60H30 60J10 91A50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Ruszczyński, Andrzej; Yao, Jianing A dual method for evaluation of dynamic risk in diffusion processes. (English) Zbl 1458.60090 ESAIM, Control Optim. Calc. Var. 26, Paper No. 96, 20 p. (2020). MSC: 60J60 60H35 49L20 49M25 49M29 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hu, Mingshang; Ji, Shaolin; Xue, Xiaole Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems. (English) Zbl 1457.93084 ESAIM, Control Optim. Calc. Var. 26, Paper No. 81, 36 p. (2020). MSC: 93E20 60H15 49L25 35K15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Feng, Xinwei Stochastic recursive optimal control problem of reflected stochastic differential systems. (English) Zbl 1453.93242 Int. J. Control 93, No. 9, 2187-2198 (2020). MSC: 93E20 93C15 60H30 49L25 × Cite Format Result Cite Review PDF Full Text: DOI
Wu, Cong; Zhang, Jianfeng Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls. (English) Zbl 1445.35118 Ann. Appl. Probab. 30, No. 2, 936-986 (2020). MSC: 35D40 35K55 49L25 60H30 35R15 49L20 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Backhoff-Veraguas, Julio; Tangpi, Ludovic On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration. (English) Zbl 1443.91337 Math. Financ. Econ. 14, No. 3, 433-460 (2020). MSC: 91G70 60H30 90C39 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Aksamit, Anna; Hou, Zhaoxu; Obłój, Jan Robust framework for quantifying the value of information in pricing and hedging. (English) Zbl 1437.91424 SIAM J. Financ. Math. 11, No. 1, 27-59 (2020). MSC: 91G20 90C39 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Khlopin, D. V. Asymptotics of values in dynamic games on large intervals. (English. Russian original) Zbl 1428.91007 St. Petersbg. Math. J. 31, No. 1, 157-179 (2020); translation from Algebra Anal. 31, No. 1, 211-245 (2019). MSC: 91A25 91A05 91A23 91A15 91A50 × Cite Format Result Cite Review PDF Full Text: DOI
Xu, Lin; Yao, Dingjun; Cheng, Gongpin Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax. (English) Zbl 1438.91117 J. Ind. Manag. Optim. 16, No. 1, 325-356 (2020). MSC: 91G05 91B64 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Basak, Gopal K.; Das, Pranab Kumar; Rohit, Allena Coupled dynamics with an external system and application to international finance. (English) Zbl 1514.91172 Physica A 520, 409-432 (2019). MSC: 91G10 90C39 91G30 × Cite Format Result Cite Review PDF Full Text: DOI
Blanc, Pablo; Manfredi, Juan J.; Rossi, Julio D. Games for Pucci’s maximal operators. (English) Zbl 1439.35104 J. Dyn. Games 6, No. 4, 277-289 (2019). MSC: 35B50 35D40 49N70 91A15 91A24 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gong, Ruoting; Mou, Chenchen; Święch, Andrzej Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations. (English) Zbl 1469.35212 Ann. Appl. Probab. 29, No. 6, 3271-3310 (2019). MSC: 35R09 35K61 35K65 49L20 49L25 60H10 60H30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Meng, Hui; Liao, Pu; Siu, Tak Kuen Continuous-time optimal reinsurance strategy with nontrivial curved structures. (English) Zbl 1433.91141 Appl. Math. Comput. 363, Article ID 124585, 21 p. (2019). MSC: 91G05 49L20 93E20 91G10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Alia, Ishak A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion. (English) Zbl 1429.93413 Math. Control Relat. Fields 9, No. 3, 541-570 (2019). MSC: 93E20 60H10 60J76 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Khlopin, D. V. On Tauberian theorem for stationary Nash equilibria. (English) Zbl 1433.91035 Optim. Lett. 13, No. 8, 1855-1870 (2019). Reviewer: Pavel Stoynov (Sofia) MSC: 91A25 91A06 91A23 × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Mingshang; Ji, Shaolin; Xue, Xiaole The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equation. (English) Zbl 1472.93196 SIAM J. Control Optim. 57, No. 6, 3911-3938 (2019). Reviewer: Lu Qi (Chengdu) MSC: 93E20 60H10 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Li, Hanwu; Wang, Falei Stochastic optimal control problem with obstacle constraints in sublinear expectation framework. (English) Zbl 1423.93417 J. Optim. Theory Appl. 183, No. 2, 422-439 (2019). MSC: 93E20 60H10 35J60 49L25 × Cite Format Result Cite Review PDF Full Text: DOI
Jensen, Max; Majee, Ananta K.; Prohl, Andreas; Schellnegger, Christian Dynamic programming for finite ensembles of nanomagnetic particles. (English) Zbl 1470.49055 J. Sci. Comput. 80, No. 1, 351-375 (2019). MSC: 49L20 49S05 49L12 90C39 45K05 46S50 82D40 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Zhang, Liangquan Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality. (English) Zbl 1409.93074 J. Differ. Equations 266, No. 10, 6383-6425 (2019). MSC: 93E20 60H15 49L25 90C39 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Øksendal, Bernt; Sulem, Agnès Applied stochastic control of jump diffusions. 3rd expanded and updated edition. (English) Zbl 1422.93001 Universitext. Cham: Springer (ISBN 978-3-030-02779-7/pbk; 978-3-030-02781-0/ebook). xvi, 436 p. (2019). Reviewer: Lu Qi (Chengdu) MSC: 93-02 93E20 60-02 60G40 60J60 60J76 60G51 60H15 49L25 49J20 91A15 91A23 91G20 91G80 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem. (English) Zbl 1405.93229 Stochastic Processes Appl. 129, No. 2, 674-711 (2019). MSC: 93E20 60G35 60H30 93C20 90C39 49L25 49N10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yang, Qingqing; Ching, Waiki; Siu, Takkuen; Zhang, Zhiwen A Markov-driven portfolio execution strategy with market impact. (English) Zbl 1438.91135 Numer. Math., Theory Methods Appl. 11, No. 4, 701-728 (2018). MSC: 91G10 91G80 90C20 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Haiyang; Zhang, Jianfeng Forward backward SDEs in weak formulation. (English) Zbl 1419.60041 Math. Control Relat. Fields 8, No. 3-4, 1021-1049 (2018). MSC: 60H07 60H30 35R60 34F05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Guo, Chang; Zhuo, Xiaoyang; Constantinescu, Corina; Pamen, Olivier Menoukeu Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation. (English) Zbl 1411.91281 Methodol. Comput. Appl. Probab. 20, No. 4, 1477-1502 (2018). MSC: 91B30 49L20 90C39 91G80 91G30 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Yoshioka, Hidekazu; Yaegashi, Yuta Robust stochastic control modeling of dam discharge to suppress overgrowth of downstream harmful algae. (English) Zbl 1408.93152 Appl. Stoch. Models Bus. Ind. 34, No. 3, 338-354 (2018). MSC: 93E20 93B35 92D40 92D25 60H10 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Lv, Siyu; Wu, Zhen Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance. (English) Zbl 1401.93226 Chin. Ann. Math., Ser. B 39, No. 5, 773-790 (2018). MSC: 93E20 60H10 91G80 90C39 60J75 × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Mingshang; Wang, Falei Stochastic optimal control problem with infinite horizon driven by \(G\)-Brownian motion. (English) Zbl 1401.93224 ESAIM, Control Optim. Calc. Var. 24, No. 2, 873-899 (2018). MSC: 93E20 60H10 35J60 49L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhang, Liangquan; Zhou, Qing Near-optimal control of stochastic recursive systems via viscosity solution. (English) Zbl 1396.93136 J. Optim. Theory Appl. 178, No. 2, 363-382 (2018). MSC: 93E20 49L25 90C39 93C15 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Luiro, Hannes; Parviainen, Mikko Regularity for nonlinear stochastic games. (English) Zbl 1398.91058 Ann. Inst. Henri Poincaré, Anal. Non Linéaire 35, No. 6, 1435-1456 (2018). MSC: 91A15 35J92 90C39 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Pu, Jiangyan; Zhang, Qi Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator. (English) Zbl 1396.93135 ESAIM, Control Optim. Calc. Var. 24, No. 1, 355-376 (2018). MSC: 93E20 90C39 35K10 49L20 49L25 60H15 93C25 93C20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Feng, Xinwei Stochastic differential games with competing Brownian particles and related Isaacs’ equations. (English) Zbl 1393.93141 Optim. Control Appl. Methods 39, No. 2, 519-536 (2018). MSC: 93E20 91A15 49N70 90C39 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Khlopin, Dmitry Tauberian theorem for value functions. (English) Zbl 1397.91089 Dyn. Games Appl. 8, No. 2, 401-422 (2018). MSC: 91A23 91A25 49L20 91A05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Claisse, Julien Optimal control of branching diffusion processes: a finite horizon problem. (English) Zbl 1386.93303 Ann. Appl. Probab. 28, No. 1, 1-34 (2018). MSC: 93E20 60J60 60J80 49L20 49L25 60J70 60J85 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Sun, Zhongyang; Guo, Junyi; Zhang, Xin Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming. (English) Zbl 1408.91243 J. Optim. Theory Appl. 176, No. 2, 319-350 (2018). MSC: 91G80 93E20 90C39 60J28 91G10 60H15 × Cite Format Result Cite Review PDF Full Text: DOI
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. (English) Zbl 1381.93102 Trans. Am. Math. Soc. 370, No. 3, 2115-2160 (2018). MSC: 93E20 49K45 49L20 60K35 60H10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Tembine, Hamidou Mean-field-type games. (English) Zbl 1426.91029 AIMS Math. 2, No. 4, 706-735 (2017). MSC: 91A15 91A23 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Diomande, Bakarime; Maticiuc, Lucian Multivalued stochastic delay differential equations and related stochastic control problems. (English) Zbl 1423.60090 Quaest. Math. 40, No. 6, 769-802 (2017). MSC: 60H10 93E20 49L20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Guerra, Manuel; Nunes, Cláudia; Oliveira, Carlos Exit option for a class of profit functions. (English) Zbl 1395.49022 Int. J. Comput. Math. 94, No. 11, 2178-2193 (2017). MSC: 49L20 60G40 65L10 × Cite Format Result Cite Review PDF Full Text: DOI
Hao, Tao; Li, Juan BSDEs in games, coupled with the value functions, associated nonlocal Bellman-Isaacs equations. (English) Zbl 1399.60094 Acta Math. Sci., Ser. B, Engl. Ed. 37, No. 5, 1497-1518 (2017). MSC: 60H10 60H30 91A23 × Cite Format Result Cite Review PDF Full Text: DOI
Karnam, Chandrasekhar; Ma, Jin; Zhang, Jianfeng Dynamic approaches for some time-inconsistent optimization problems. (English) Zbl 1385.49019 Ann. Appl. Probab. 27, No. 6, 3435-3477 (2017). MSC: 49L20 93E20 49K45 60H10 91C99 91G80 35R15 49N15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Nie, Tianyang; Shi, Jingtao; Wu, Zhen Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case. (English) Zbl 1373.93384 SIAM J. Control Optim. 55, No. 5, 3258-3294 (2017). MSC: 93E20 60H10 90C39 49K45 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bayraktar, Erhan; Yao, Song On the robust Dynkin game. (English) Zbl 1371.60071 Ann. Appl. Probab. 27, No. 3, 1702-1755 (2017). MSC: 60G40 93E20 49L20 91A15 91A55 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bayraktar, Erhan; Yao, Song Optimal stopping with random maturity under nonlinear expectations. (English) Zbl 1373.60078 Stochastic Processes Appl. 127, No. 8, 2586-2629 (2017). MSC: 60G40 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pham, Huyên; Wei, Xiaoli Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics. (English) Zbl 1361.93069 SIAM J. Control Optim. 55, No. 2, 1069-1101 (2017). MSC: 93E20 60H30 60K35 90C39 49L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Arroyo, Ángel; Heino, Joonas; Parviainen, Mikko Tug-of-war games with varying probabilities and the normalized \(p(x)\)-Laplacian. (English) Zbl 1359.35062 Commun. Pure Appl. Anal. 16, No. 3, 915-944 (2017). MSC: 35J60 35J92 35B65 91A15 35Q91 91A23 90C39 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Øksendal, Bernt; Sulem, Agnès Dynamic robust duality in utility maximization. (English) Zbl 1361.60047 Appl. Math. Optim. 75, No. 1, 117-147 (2017). MSC: 60H10 93E20 49K45 91G10 91G80 91B70 46N10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Chang, Hao; Chang, Kai Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform. (English) Zbl 1394.91329 Insur. Math. Econ. 72, 215-227 (2017). MSC: 91G10 60H30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Mingshang; Ji, Shaolin Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion. (English) Zbl 1349.93406 Stochastic Processes Appl. 127, No. 1, 107-134 (2017). MSC: 93E20 60H10 35K15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fan, Yulian Path-dependent dynamic programming principles and related path-dependent PDEs under \(G\)-expectation. (Chinese. English summary) Zbl 1499.90263 Sci. Sin., Math. 46, No. 11, 1727-1744 (2016). MSC: 90C39 60H15 35D40 × Cite Format Result Cite Review PDF Full Text: DOI
Kemajou-Brown, Isabelle Brief history of optimal control theory and some recent developments. (English) Zbl 1419.49001 Budzban, Gregory (ed.) et al., Probability on algebraic and geometric structures. International research conference in honor of Philip Feinsilver, Salah-Eldin A. Mohammed, and Arunava Mukherjea, Southern Illinois University, Carbondale, IL, USA, June 5–7, 2014. Providence, RI: American Mathematical Society (AMS). Contemp. Math. 668, 119-130 (2016). MSC: 49-02 49N90 60J27 62P05 62P20 49K45 49-03 01A45 01A50 01A55 01A60 49L20 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Gross, Eitan On the Bellman’s principle of optimality. (English) Zbl 1400.90295 Physica A 462, 217-221 (2016). MSC: 90C40 49L20 90C39 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Juan; Min, Hui Controlled mean-field backward stochastic differential equations with jumps involving the value function. (English) Zbl 1380.93290 J. Syst. Sci. Complex. 29, No. 5, 1238-1268 (2016). MSC: 93E20 49L20 49L25 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Benincasa, T.; Donado Escobar, L. D.; Moroşanu, C. Distributed and boundary optimal control of the Allen-Cahn equation with regular potential and dynamic boundary conditions. (English) Zbl 1354.65224 Int. J. Control 89, No. 8, 1523-1532 (2016). MSC: 65N12 35K55 49K20 90C46 80A22 × Cite Format Result Cite Review PDF Full Text: DOI
Nie, Tianyang; Shi, Jingtao The connection between DPP and MP for the fully coupled forward-backward stochastic control systems. (Chinese. English summary) Zbl 1363.93256 J. Shandong Univ., Nat. Sci. 51, No. 5, 121-129 (2016). MSC: 93E20 49K45 49L20 60H10 × Cite Format Result Cite Review PDF
Wu, Jiang; Liao, Fucheng; Tang, Yuan Yan Applications of the preview control method to the optimal problem for linear continuous-time stochastic systems with time-delay. (English) Zbl 1354.49041 Int. J. Wavelets Multiresolut. Inf. Process. 14, No. 6, Article ID 1650045, 16 p. (2016). MSC: 49J55 49M30 49L20 60H10 93E20 93B52 34K35 × Cite Format Result Cite Review PDF Full Text: DOI
Świȩch, Andrzej; Zabczyk, Jerzy Integro-PDE in Hilbert spaces: existence of viscosity solutions. (English) Zbl 1352.49025 Potential Anal. 45, No. 4, 703-736 (2016). MSC: 49L25 49L20 35R09 60H15 60G51 60H30 35D40 35K60 49J55 93E20 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
He, Yichao; Zhang, Xinlu; Song, Jianmin Design method of the iteration algorithms based on dynamic programming. (Chinese. English summary) Zbl 1363.49035 Math. Pract. Theory 46, No. 6, 173-180 (2016). MSC: 49L20 90C39 × Cite Format Result Cite Review PDF